* Please do NOT use excel, provide answer via written response *

Assume analysts provide the following types of information. Assume short sales are allowed.

Stock	Mean Return	Standard Deviation
A	6%	6%
B	7%	8%
C	9%	12%
risk free rate	2%

The pairwise coefficient of correlation between all three stocks is 0.4, i.e. _AB=_AC=_BC=0.4.

a) What the rate of return and the standard deviation of an equal weighted portfolio consist of all three stocks?

b) What are the weights of A and B in the portfolio consist of A and B only with highest Sharpe ratio? What is the Sharpe ratio of the portfolio?

c) Find the weights of stock A, B and C in the global minimum variance portfolio.